A scale function based approach for solving integral-differential equations in insurance risk models

DOI10.1016/J.AMC.2023.127965MaRDI QIDQ6160571OpenAlexFDO

Authors Aili Zhang, Shuanming Li, Wenyuan Wang

Publication date 26 June 2023

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2023.127965

zbMATH Keywords

integro-differential equationscale functionsLévy process

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Risk models (general) (91B05) Financial and insurance mathematics (aspects of mathematics education) (97M30)

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• Phase-type Fitting of scale functions for spectrally negative Lévy processes
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• The compound Poisson risk model with a threshold dividend strategy
• The expected discounted penalty function: from infinite time to finite time
• The perturbed compound Poisson risk model with linear dividend barrier
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems

Cited in

(2)

• scientific article; zbMATH DE number 2157170 (Why is no real title available?)
• On some problem of determination of insurance premium leading to functional equation

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